Flexible covariance estimation in graphical Gaussian models

DOI10.1214/08-AOS619zbMATH Open1168.62054arXiv0901.3267OpenAlexW3098045107MaRDI QIDQ1000308FDOQ1000308

Authors: Bala Rajaratnam, Hélène Massam, Carlos M. Carvalho 

Publication date: 6 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: In this paper, we propose a class of Bayes estimators for the covariance matrix of graphical Gaussian models Markov with respect to a decomposable graph $G$. Working with the $W_{P_G}$ family defined by Letac and Massam [Ann. Statist. 35 (2007) 1278--1323] we derive closed-form expressions for Bayes estimators under the entropy and squared-error losses. The $W_{P_G}$ family includes the classical inverse of the hyper inverse Wishart but has many more shape parameters, thus allowing for flexibility in differentially shrinking various parts of the covariance matrix. Moreover, using this family avoids recourse to MCMC, often infeasible in high-dimensional problems. We illustrate the performance of our estimators through a collection of numerical examples where we explore frequentist risk properties and the efficacy of graphs in the estimation of high-dimensional covariance structures.

Full work available at URL: https://arxiv.org/abs/0901.3267

Recommendations

• Efficient estimation of covariance selection models
• High-dimensional covariance estimation based on Gaussian graphical models
• Bayesian graphical Lasso models and efficient posterior computation
• Wishart distributions for decomposable covariance graph models
• The Bayesian covariance lasso

zbMATH Keywords

regularizationshrinkageBayes estimators

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of graph theory (05C90) Estimation in multivariate analysis (62H12) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

• Experiments in stochastic computation for high-dimensional graphical models
• High-dimensional graphs and variable selection with the Lasso
• Title not available (Why is that?)
• Conjugate priors for exponential families
• Hyper Markov laws in the statistical analysis of decomposable graphical models
• A well-conditioned estimator for large-dimensional covariance matrices
• Regularized estimation of large covariance matrices
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The variational form of certain Bayes estimators
• Estimation of a covariance matrix using the reference prior
• Wishart distributions for decomposable graphs
• Estimation with quadratic loss.
• Title not available (Why is that?)
• Cholesky decomposition of a hyper inverse Wishart matrix
• Simulation of hyper-inverse Wishart distributions in graphical models
• Estimation of parameter matrices and eigenvalues in MANOVA and canonical correlation analysis
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Transversals of latin squares and their generalizations
• Covariance matrix selection and estimation via penalised normal likelihood
• Title not available (Why is that?)
• Minimax estimators for a multinormal precision matrix
• Partial information reference priors: Derivation and interpretations
• Some Remarks on Noninformative Priors
• Information-theoretic asymptotics of Bayes methods
• Improved minimax estimation of a normal precision matrix
• Positive definite completions of partial Hermitian matrices
• Shrinkage Estimators for Covariance Matrices
• Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
• Bayesian inference for a covariance matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• Enriched conjugate and reference priors for the Wishart family on symmetric cones
• Estimation of normal covariance and precision matrices with incomplete data

Cited In (43)

• On the flexibility of multivariate covariance models: comment on the paper by Genton and Kleiber
• Bayesian graph selection consistency under model misspecification
• Covariance estimation: the GLM and regularization perspectives
• Efficient Gaussian graphical model determination under \(G\)-Wishart prior distributions
• Hierarchical Gaussian graphical models: beyond reversible jump
• The cost of using decomposable Gaussian graphical models for computational convenience
• Bayesian analysis of the covariance matrix of a multivariate normal distribution with a new class of priors
• Sparse matrix decompositions and graph characterizations
• A note on covariance estimation in the unbiased estimator of risk framework
• A testing based approach to the discovery of differentially correlated variable sets
• Robust Bayesian graphical modeling using Dirichlet \(t\)-distributions
• Modeling correlated marker effects in genome-wide prediction via Gaussian concentration graph models
• A new prior for discrete DAG models with a restricted set of directions
• Objective priors for generative star-shape models
• Reference priors for linear models with general covariance structures
• Retaining positive definiteness in thresholded matrices
• Wishart distributions for decomposable covariance graph models
• Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models
• Posterior convergence rates for estimating large precision matrices using graphical models
• Determining full conditional independence by low-order conditioning
• A guided random walk through some high dimensional problems
• A generalized likelihood ratio test for normal mean when \(p\) is greater than \(n\)
• Bayesian inference for high-dimensional decomposable graphs
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Comment on: Sequences of regressions and their independences
• Gaussian covariance faithful Markov trees
• Sparse seemingly unrelated regression modelling: applications in finance and econometrics
• High dimensional posterior convergence rates for decomposable graphical models
• Statistical paleoclimate reconstructions via Markov random fields
• An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• On the Letac-Massam conjecture and existence of high dimensional Bayes estimators for graphical models
• A review of Gaussian Markov models for conditional independence
• Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
• Posterior propriety of an objective prior in a 4-level normal hierarchical model
• Matrix-variate Lindley distributions and its applications
• Bayesian structure learning in graphical models
• A direct sampler for G-Wishart variates
• Posterior convergence rates for high-dimensional precision matrix estimation using \(G\)-Wishart priors
• Bootstrap -- an exploration
• Stable estimation of a covariance matrix guided by nuclear norm penalties
• The Graphical Horseshoe Estimator for Inverse Covariance Matrices

Uses Software

• HdBCS

This page was built for publication: Flexible covariance estimation in graphical Gaussian models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1000308)